Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/67718 
Year of Publication: 
2012
Series/Report no.: 
Bundesbank Discussion Paper No. 35/2012
Publisher: 
Deutsche Bundesbank, Frankfurt a. M.
Abstract: 
We assess the transmission of monetary policy shocks on oil prices using a VAR model. We identify monetary policy and financial activity shocks disentangled from demand and oil supply shocks using sign restrictions. We obtain the following main findings. (i) Monetary policy and financial activity shocks both have a significant effect on the oil price. (ii) Monetary policy has made large positive contributions to oil price growth in 2008. (iii) Monetary policy affects the oil price primarily through fundamental (supply and demand) channels rather than through financial activity.
Subjects: 
oil prices
monetary policy
financial activity
VAR model
sign restrictions
JEL: 
E52
C32
Q41
Q31
ISBN: 
978-3-86558-874-6
Document Type: 
Working Paper

Files in This Item:
File
Size
343.65 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.